Publications
Portfolio Choices with Many Big Models, Management Science, 2022, Volume 68, Issue 1, Pages 690-715. (Joint with Ai-Ru Cheng.)
Logarithmic Depreciation. Economic Modelling, 2021, Volume 101. (Joint with William Brock.)
Robust Consumption and Energy Decisions. Forthcoming in Climate Change Economics: The Role of Uncertainty and Risk, 2019, edited by V V Chari and Robert Litterman. (Joint with William Brock and Alan H. Sanstad)
Robust Bayesian Portfolio Choices. The Review of Financial Studies, 2016, Volume 29, Issue 5, pages 1330-1375. (Joint with Ai-Ru Cheng.)
Small noise methods for risk sensitive/robust economies. Journal of Economic Dynamics and Control, 2012, Volume 36, Issue 4, pages 468-500. (Joint with Lars Peter Hansen and Thomas J. Sargent.)
The impact of risk and uncertainty on expected returns. Journal of Financial Economics, 2009, Volume 94, Issue 2, pages 233-263. (Joint with Eric Ghysels and Jennifer L. Juergens.)
The dynamics of risk-sensitive allocations. Journal of Economic Theory, 2005, Volume 125, Issue 2, pages 93-150.
Do heterogeneous beliefs matter for asset pricing? The Review of Financial Studies, 2005, Volume 18, Issue 3, pages 875--924. (Joint with Eric Ghysels and Jennifer L. Juergens.)
A quartet of semigroups for model specification, robustness, prices of risk, and model detection. Journal of the European Economic Association, 2003, Volume 1, Issue 1, pages 68-123. (Joint with Lars Peter Hansen and Thomas J. Sargent.)
Reprinted in Uncertainty in Economic Theory: Essays in Honor of David Schmeidler's 65th Birthday, 2004, edited by I. Gilboa. Routledge. Pages 364-418.
Also reprinted in Uncertainty within Economic Models, 2014, L. P. Hansen and T. J Sargent.
Uncertainty and the dynamics of Pareto optimal allocations, Ph.D. Dissertation, 1998, University of Chicago. (Completed under the supervision of Lars Peter Hansen, Thomas J. Sargent, and Robert E. Lucas, Jr.)
Mechanics of forming and estimating dynamic linear economies. In the Handbook of Computational Economics, 1996, edited by H.M. Amman, D.A. Kendrick, and J. Rust. Elsevier. Pages 171-252. (Joint with Lars Peter Hansen, Ellen R. McGrattan, and Thomas J. Sargent.)